The double kettlebell overhead squat is DIFFICULT. It requires a lot of thoracic flexibility and, because of the upright upper body positioning, knees and ankles will experience some stress as well. Not all stress is bad, mind you, but if you have pre-existing knee issues, this might not be the squat for you.
There is risk with this exercise. For a barbell overhead squat, it is generally a pretty simple affair to drop the bar and get out of the way. With two kettlebells moving independently, avoiding them if they fall will be more complicated. If you feel yourself getting into trouble, dump the bell(s) and get out of the way! As Pavel says, "Quick feet are happy feet." - words to live by.
Here are some exercises and drills you could include in progressions to build into a double kettlebell overhead squat:
*Lying shoulder girdle stretches
*Dislocates with a dowel or PVC - with time, move the grip closer
*Cross-Bench Dumbbell/Barbell Pullovers with a moderate weight focusing on improving range of motion without loss of shoulder stability
*Barbell Overhead Squats, gradually moving the grip closer with moderate loads
*One-Arm Kettlebell Overhead Squats, without excessive torso rotation